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Macroprudential stress‑test models : a survey

Aikman, David; Beale, Daniel; Brinley-Codd, Adam; Covi, … - 2023

Persistent link: https://www.econbiz.de/10014373739

Essays on systemic risk and stock market contagion

Wewel, Claudio Nicolai - 2014

This thesis consists out of three essays on systemic risk in the banking system and stock market contagion. The first … contagion dominated in the US and European banking systems at the onset of the Subprime Crisis. The second essay (Döring … international stock market contagion investigating pre-and post-event cross-market correlation on national and international stock …

Persistent link: https://www.econbiz.de/10010336326

An axiomatic approach to systemic risk

Chen, Chen; Iyengar, Garud; Moallemi, Ciamac C. - In: Management science : journal of the Institute for … 59 (2013) 6, pp. 1373-1388

Persistent link: https://www.econbiz.de/10009777035

Too interconnected to fail : a survey of the interbank networks literature

Hüser, Anne-Caroline - 2015 - First version: December 2014, This version: March 2015

contagion in the banking system and of how banks form connections when faced with the possibility of contagion and systemic risk … interconnections, contagion processes and systemic risk, while emphasizing at the same time the challenges that must be addressed …

Persistent link: https://www.econbiz.de/10010491738

Contagion in financial networks : a threat index

Demange, Gabrielle - 2015

Interbank claims are a concern to regulators as they might facilitate the dissemination of defaults and generate spill-over effects. Building on a simple model, this paper introduces a measure of the spill-over effects that a bank generates when it defaults. The measure is based on an explicit...

Persistent link: https://www.econbiz.de/10010509633

Why do investors buy sovereign default insurance?

Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016

We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...

Persistent link: https://www.econbiz.de/10011541398

Too interconnected to fail : a survey of the interbank networks literature

Hüser, Anne-Caroline - In: The journal of network theory in finance 1 (2015) 3, pp. 1-50

Persistent link: https://www.econbiz.de/10011399495

Interconnectedness of financial conglomerates

Hauton, Gae͏̈l; Héam, Jean-Cyprien - In: Risks : open access journal 3 (2015) 2, pp. 139-163

Being active in both the insurance sector and the banking sector, financial conglomerates intrinsically increase the interconnections between the banking sector and the insurance sector. We address two main concerns about financial conglomerates using a unique database on bilateral exposures...

Persistent link: https://www.econbiz.de/10011299516

Defuse the bomb : rewiring interbank networks

Chinazzi, Matteo; Pegoraro, Stefano; Fagiolo, Giorgio - 2015

networks to show how contagion can propagate under different scenarios when the topology of the financial system, the … simple model of contagion as the one that has been popularized by Gai and Kapadia (2010). Then, we provide a richer model in …

Persistent link: https://www.econbiz.de/10010530664

The credit quality channel : modeling contagion in the interbank market

Fink, Kilian; Krüger, Ulrich; Meller, Barbara; Wong, … - 2015

We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In … existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a … questions. For that purpose, we propose to measure the potential cost of contagion of a given shock scenario by the aggregated …

Persistent link: https://www.econbiz.de/10011381702